State estimation using an approximate reduced statistics algorithm

The problem of state estimation using nonlinear additive Gaussian noise measurements is addressed. A geometric model for the posterior state density is assumed based on a multidimensional Haar basis representation. An approximate reduced statistics (ARS) algorithm, suggested by the parameter estimator of Kulhavy is then developed, using successive minimization of relative entropy between model densities and an approximate posterior density. The state estimator thus derived is applied to a bearings-only target tracking problem in a multiple sensor scenario.